ACMR Options History — July 2007

In July 2007, ACMR traded between $6.02 and $6.96. ATM implied volatility averaged 42.4%, placing in the 77.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 11.6% (HV 20d: 30.8%). Max pain ranged from $6.67 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2007-07-24: Highest Volume — 537 contracts
  • 2007-07-24: Largest IV spike — 10.2% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.63$6.02$6.96$6.69$6.03
Max Pain$7.14$6.67$7.50$7.50$6.67
ATM IV42.4%34.7%56.6%35.6%56.6%
Expected Move12.2%10.1%16.2%10.2%16.2%
HV 20d30.8%26.2%36.2%29.3%34.4%
HV 60d36.1%34.5%37.9%34.5%37.4%
IV Rank77.0%55.0%100.0%57.9%100.0%
IV Percentile88.2%66.1%100.0%73.8%99.3%
Term Structure-3.1%-11.3%1.1%0.5%-11.3%
VWIV45.7%36.9%59.1%36.9%57.1%
Skew 25d4.2%2.4%4.9%4.6%4.3%
Skew 10d6.2%-3.0%9.7%7.7%7.9%
Call IV 25d33.8%31.7%37.0%31.7%35.6%
Put IV 25d37.9%36.0%41.2%36.3%40.0%
Bid-Ask Spread %31.5015.9557.7315.9527.24
Gamma HHI0.360.310.480.340.31
Net GEX15.1K3.6K25.9K14.8K7.5K
Net DEX-222.5K-520.2K324.9K-273.1K222.7K
Net VEX-5.9K-6.3K-4.9K-6.1K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.310.000.13
Total Volume92.85705370135
Total OI4,495.8573,6965,2924,2245,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$6.69$7.5035.6%10.2%29.3%0.0%0.0%4.6%0.5%14.8K-273.1K-6.1K0.0015.95N/AN/A002,7091,515
2007-07-03$6.90$7.5035.3%10.1%30.6%0.0%0.0%4.1%0.9%18.3K-437.9K-6.3K0.0048.09N/AN/A602,7391,515
2007-07-05$6.69$7.5035.7%10.2%32.1%57.9%0.0%4.0%1.1%14.8K-272.4K-6.1K0.0018.18N/AN/A002,7151,515
2007-07-06$6.65$7.5034.7%10.5%30.8%55.0%0.0%3.3%-0.7%14.3K-242.0K-6.0K0.0030.93N/AN/A002,7151,515
2007-07-09$6.76$7.5038.1%10.9%31.4%65.1%0.0%4.0%-1.4%15.8K-317.2K-6.0K0.0023.69N/AN/A002,7151,503
2007-07-10$6.60$7.5036.8%11.3%31.7%61.0%0.0%4.2%-2.8%13.6K-209.5K-5.9K0.0029.21N/AN/A002,7151,503
2007-07-11$6.70$7.5037.4%10.8%31.8%63.0%0.0%4.2%-1.0%14.9K-270.1K-5.9K0.0032.36N/AN/A002,7151,503
2007-07-12$6.75$7.5036.7%10.5%29.6%61.0%36.9%4.4%-0.2%15.5K-293.9K-5.9K0.0033.16N/AN/A9002,7151,503
2007-07-13$6.69$7.5037.7%10.8%29.6%64.0%0.0%4.8%-0.5%15.9K-273.5K-5.9K0.0034.21N/AN/A0302,7901,503
2007-07-16$6.79$7.5039.1%11.2%30.1%68.2%0.0%4.2%-0.1%20.1K-391.6K-5.0K0.0033.87N/AN/A0752,6581,038
2007-07-17$6.83$7.5039.7%11.4%30.2%69.9%0.0%4.2%-1.0%16.8K-345.5K-6.0K0.3636.61N/AN/A84302,7901,578
2007-07-18$6.83$7.5042.9%12.3%29.8%79.5%42.7%4.0%-1.8%15.2K-361.0K-6.1K0.0035.74N/AN/A10502,7991,608
2007-07-19$6.87$6.6742.4%12.2%27.9%78.0%40.4%4.4%-2.6%18.9K-437.7K-6.2K0.0033.22N/AN/A3602,9041,608
2007-07-20$6.96$6.6742.8%12.3%28.0%79.2%42.3%4.3%-2.2%21.5K-520.2K-6.3K0.0026.74N/AN/A24002,9401,608
2007-07-23$6.92$6.6742.0%12.0%26.2%76.8%38.4%4.9%-4.6%25.9K-497.5K-6.1K0.4023.83N/AN/A75302,9821,578
2007-07-24$6.74$6.6746.3%13.3%27.9%89.7%46.2%4.3%-5.3%22.2K-368.6K-6.1K2.3136.14N/AN/A1623753,0571,578
2007-07-25$6.60$6.6747.8%13.7%28.2%94.3%46.5%3.7%-6.7%14.4K-142.6K-6.3K0.0032.93N/AN/A5103,1381,935
2007-07-26$6.19$6.6751.1%14.6%36.0%100.0%47.8%2.4%-5.9%6.6K195.8K-5.5K0.8757.73N/AN/A69603,1501,935
2007-07-27$6.10$6.6755.4%15.9%36.2%100.0%0.0%4.2%-10.3%5.7K237.6K-5.3K0.0027.31N/AN/A0123,1531,917
2007-07-30$6.02$6.6756.6%16.2%35.8%100.0%59.1%4.8%-9.6%3.6K324.9K-4.9K0.3624.32N/AN/A210753,1531,911
2007-07-31$6.03$6.6756.6%16.2%34.4%100.0%57.1%4.3%-11.3%7.5K222.7K-5.3K0.1327.24N/AN/A120153,3631,929